params: Yield curve parameter data

Description Usage Format Details Source Examples

Description

Yield curve parameters from the European Central Bank (ECB), downloaded on March 24, 2021

Usage

1
data("params")

Format

A data frame with 4229 observations on the following 13 variables.

date

a Date

b0

a numeric vector

b1

a numeric vector

b2

a numeric vector

b3

a numeric vector

t1

a numeric vector

t2

a numeric vector

c0

a numeric vector

c1

a numeric vector

c2

a numeric vector

c3

a numeric vector

d1

a numeric vector

d2

a numeric vector

Details

The parameters b0 to b3 are the beta-parameters, and t1 and t2 the tau-parameters for AAA-rated government bonds. The parameters c0 to c3 are the beta-parameters, and d1 and d2 the tau-parameters for all government bonds.

Source

https://bit.ly/2zfs0G8

Examples

1
2

RcmdrPlugin.RiskDemo documentation built on April 6, 2021, 5:06 p.m.